题目： Economic Policy Uncertainty and Hedge Fund Returns

演讲人： 王松涛（上海交通大学 副教授）

时间：2021年10月19日（周二）12:00-13:00

地点：同济大厦A楼306室

摘要: 

In this paper, we first examine the effect of the risk associated with innovations in economic policy uncertainty (EPU), that is, EPU risk, on hedge fund returns in the cross section. We find that the average return on funds with high exposure to EPU risk is 0.49% per month lower than that on funds with low exposure. Conventional risk factors cannot explain the negative relation between EPU risk and future hedge fund returns. Then, we explore hedge funds’ EPU timing ability, and find that 12.5% of the funds in our sample have such an ability. An investment strategy long in top-ranked EPU timing funds and short in bottom-ranked EPU timing funds delivers a significantly positive risk-adjusted return of 4.07% per year.

个人简介：

博士毕业于瑞士苏黎世大学，之前在法国图卢兹经济学院取得经济学硕士学位，在上海同济大学取得文学学士学位。加入上海交通大学安泰经济与管理学院之前曾在纽约大学斯特恩商学院做博士后访问学者。主要研究兴趣包括实证资产定价，风险管理，另类投资等。在Journal of Financial and Quantitative Analysis和Review of Finance等金融学期刊有发表学术论文。